Luca Bolognese has put together a .NET library of financial functions which is now available on CodeGallery on Microsoft. His goal was to replicate the financial functions in Excel, right or wrong. And if you think that Excel got a function wrong, he invites you to contribute a different implementation.

Luca implemented the library in F#. The library is available in two forms, one which statically links to F# (so that you don't need to redistribute F#) and one that doesn't (which is correspondingly smaller). Luca gave an outstanding talk on F# at PDC2008, which is well worth checking out.